OracleLibrary.sol

// SPDX-License-Identifier: GPL-2.0-or-later
pragma solidity >=0.5.0 <0.9.0;

import '@uniswap/v3-core/contracts/libraries/FullMath.sol';
import '@uniswap/v3-core/contracts/libraries/TickMath.sol';
import '@uniswap/v3-core/contracts/interfaces/IUniswapV3Pool.sol';

/// @title Oracle library
/// @notice Provides functions to integrate with V3 pool oracle
library OracleLibrary {
    /// @notice Calculates time-weighted means of tick and liquidity for a given Uniswap V3 pool
    /// @param pool Address of the pool that we want to observe
    /// @param secondsAgo Number of seconds in the past from which to calculate the time-weighted means
    /// @return arithmeticMeanTick The arithmetic mean tick from (block.timestamp - secondsAgo) to block.timestamp
    /// @return harmonicMeanLiquidity The harmonic mean liquidity from (block.timestamp - secondsAgo) to block.timestamp
    function consult(address pool, uint32 secondsAgo)
        internal
        view
        returns (int24 arithmeticMeanTick, uint128 harmonicMeanLiquidity)
    {
        require(secondsAgo != 0, 'BP');

        uint32[] memory secondsAgos = new uint32[](2);
        secondsAgos[0] = secondsAgo;
        secondsAgos[1] = 0;

        (int56[] memory tickCumulatives, uint160[] memory secondsPerLiquidityCumulativeX128s) = IUniswapV3Pool(pool)
            .observe(secondsAgos);

        int56 tickCumulativesDelta = tickCumulatives[1] - tickCumulatives[0];
        uint160 secondsPerLiquidityCumulativesDelta = secondsPerLiquidityCumulativeX128s[1] -
            secondsPerLiquidityCumulativeX128s[0];

        arithmeticMeanTick = int24(tickCumulativesDelta / int56(uint56(secondsAgo)));
        // Always round to negative infinity
        if (tickCumulativesDelta < 0 && (tickCumulativesDelta % int56(uint56(secondsAgo)) != 0)) arithmeticMeanTick--;

        // We are multiplying here instead of shifting to ensure that harmonicMeanLiquidity doesn't overflow uint128
        uint192 secondsAgoX160 = uint192(secondsAgo) * type(uint160).max;
        harmonicMeanLiquidity = uint128(secondsAgoX160 / (uint192(secondsPerLiquidityCumulativesDelta) << 32));
    }

    /// @notice Given a tick and a token amount, calculates the amount of token received in exchange
    /// @param tick Tick value used to calculate the quote
    /// @param baseAmount Amount of token to be converted
    /// @param baseToken Address of an ERC20 token contract used as the baseAmount denomination
    /// @param quoteToken Address of an ERC20 token contract used as the quoteAmount denomination
    /// @return quoteAmount Amount of quoteToken received for baseAmount of baseToken
    function getQuoteAtTick(
        int24 tick,
        uint128 baseAmount,
        address baseToken,
        address quoteToken
    ) internal pure returns (uint256 quoteAmount) {
        uint160 sqrtRatioX96 = TickMath.getSqrtRatioAtTick(tick);

        // Calculate quoteAmount with better precision if it doesn't overflow when multiplied by itself
        if (sqrtRatioX96 <= type(uint128).max) {
            uint256 ratioX192 = uint256(sqrtRatioX96) * sqrtRatioX96;
            quoteAmount = baseToken < quoteToken
                ? FullMath.mulDiv(ratioX192, baseAmount, 1 << 192)
                : FullMath.mulDiv(1 << 192, baseAmount, ratioX192);
        } else {
            uint256 ratioX128 = FullMath.mulDiv(sqrtRatioX96, sqrtRatioX96, 1 << 64);
            quoteAmount = baseToken < quoteToken
                ? FullMath.mulDiv(ratioX128, baseAmount, 1 << 128)
                : FullMath.mulDiv(1 << 128, baseAmount, ratioX128);
        }
    }

    /// @notice Given a pool, it returns the number of seconds ago of the oldest stored observation
    /// @param pool Address of Uniswap V3 pool that we want to observe
    /// @return secondsAgo The number of seconds ago of the oldest observation stored for the pool
    function getOldestObservationSecondsAgo(address pool) internal view returns (uint32 secondsAgo) {
        (, , uint16 observationIndex, uint16 observationCardinality, , , ) = IUniswapV3Pool(pool).slot0();
        require(observationCardinality > 0, 'NI');

        (uint32 observationTimestamp, , , bool initialized) = IUniswapV3Pool(pool).observations(
            (observationIndex + 1) % observationCardinality
        );

        // The next index might not be initialized if the cardinality is in the process of increasing
        // In this case the oldest observation is always in index 0
        if (!initialized) {
            (observationTimestamp, , , ) = IUniswapV3Pool(pool).observations(0);
        }

        unchecked {
            secondsAgo = uint32(block.timestamp) - observationTimestamp;
        }
    }

    /// @notice Given a pool, it returns the tick value as of the start of the current block
    /// @param pool Address of Uniswap V3 pool
    /// @return The tick that the pool was in at the start of the current block
    function getBlockStartingTickAndLiquidity(address pool) internal view returns (int24, uint128) {
        (, int24 tick, uint16 observationIndex, uint16 observationCardinality, , , ) = IUniswapV3Pool(pool).slot0();

        // 2 observations are needed to reliably calculate the block starting tick
        require(observationCardinality > 1, 'NEO');

        // If the latest observation occurred in the past, then no tick-changing trades have happened in this block
        // therefore the tick in `slot0` is the same as at the beginning of the current block.
        // We don't need to check if this observation is initialized - it is guaranteed to be.
        (
            uint32 observationTimestamp,
            int56 tickCumulative,
            uint160 secondsPerLiquidityCumulativeX128,

        ) = IUniswapV3Pool(pool).observations(observationIndex);
        if (observationTimestamp != uint32(block.timestamp)) {
            return (tick, IUniswapV3Pool(pool).liquidity());
        }

        uint256 prevIndex = (uint256(observationIndex) + observationCardinality - 1) % observationCardinality;
        (
            uint32 prevObservationTimestamp,
            int56 prevTickCumulative,
            uint160 prevSecondsPerLiquidityCumulativeX128,
            bool prevInitialized
        ) = IUniswapV3Pool(pool).observations(prevIndex);

        require(prevInitialized, 'ONI');

        uint32 delta = observationTimestamp - prevObservationTimestamp;
        tick = int24((tickCumulative - int56(uint56(prevTickCumulative))) / int56(uint56(delta)));
        uint128 liquidity = uint128(
            (uint192(delta) * type(uint160).max) /
                (uint192(secondsPerLiquidityCumulativeX128 - prevSecondsPerLiquidityCumulativeX128) << 32)
        );
        return (tick, liquidity);
    }

    /// @notice Information for calculating a weighted arithmetic mean tick
    struct WeightedTickData {
        int24 tick;
        uint128 weight;
    }

    /// @notice Given an array of ticks and weights, calculates the weighted arithmetic mean tick
    /// @param weightedTickData An array of ticks and weights
    /// @return weightedArithmeticMeanTick The weighted arithmetic mean tick
    /// @dev Each entry of `weightedTickData` should represents ticks from pools with the same underlying pool tokens. If they do not,
    /// extreme care must be taken to ensure that ticks are comparable (including decimal differences).
    /// @dev Note that the weighted arithmetic mean tick corresponds to the weighted geometric mean price.
    function getWeightedArithmeticMeanTick(WeightedTickData[] memory weightedTickData)
        internal
        pure
        returns (int24 weightedArithmeticMeanTick)
    {
        // Accumulates the sum of products between each tick and its weight
        int256 numerator;

        // Accumulates the sum of the weights
        uint256 denominator;

        // Products fit in 152 bits, so it would take an array of length ~2**104 to overflow this logic
        for (uint256 i; i < weightedTickData.length; i++) {
            numerator += weightedTickData[i].tick * int256(uint256(weightedTickData[i].weight));
            denominator += weightedTickData[i].weight;
        }

        weightedArithmeticMeanTick = int24(numerator / int256(denominator));
        // Always round to negative infinity
        if (numerator < 0 && (numerator % int256(denominator) != 0)) weightedArithmeticMeanTick--;
    }

    /// @notice Returns the "synthetic" tick which represents the price of the first entry in `tokens` in terms of the last
    /// @dev Useful for calculating relative prices along routes.
    /// @dev There must be one tick for each pairwise set of tokens.
    /// @param tokens The token contract addresses
    /// @param ticks The ticks, representing the price of each token pair in `tokens`
    /// @return syntheticTick The synthetic tick, representing the relative price of the outermost tokens in `tokens`
    function getChainedPrice(address[] memory tokens, int24[] memory ticks)
        internal
        pure
        returns (int256 syntheticTick)
    {
        require(tokens.length - 1 == ticks.length, 'DL');
        for (uint256 i = 1; i <= ticks.length; i++) {
            // check the tokens for address sort order, then accumulate the
            // ticks into the running synthetic tick, ensuring that intermediate tokens "cancel out"
            tokens[i - 1] < tokens[i] ? syntheticTick += ticks[i - 1] : syntheticTick -= ticks[i - 1];
        }
    }
}